Perhaps you don't understand.
ESF will
NOT work for online play in C:\SIERRA.
You need to
install Steam. You can find a very nice walkthrough
here.
Once you have Steam installed, you need to make sure you have a
working copy of either Half-Life or Counter-Strike.
Once you do that, install ESF into the directory you have. For the purposes of this explanation let's say you have Half-Life.
Run Half-Life once before you try to install ESF.
Once you have installed Half-Life and ran it once, you can install ESF to this location:
C:\Program Files\Steam\SteamApps\AccountName\half-life\esf
Once you have installed it into the correct directory simply run Steam and select ESF from the "Third Party Games" menu.
If you have Counter-Strike for Steam, simply replace Half-Life with Counter-Strike and you should be fine.